A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets
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Publication:3652700
DOI10.1080/13504860802639360zbMath1179.91085OpenAlexW3123035557MaRDI QIDQ3652700
Mateusz Maj, Steven Vanduffel, Wim Schoutens, Andrew Chernih
Publication date: 16 December 2009
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/13504860802639360
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Related Items (11)
AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING ⋮ OPTIMALITY OF PAYOFFS IN LÉVY MODELS ⋮ Improving the Design of Financial Products in a Multidimensional Black-Scholes Market ⋮ Additive portfolio improvement and utility-efficient payoffs ⋮ Optimal payoffs under state-dependent preferences ⋮ Optimal design of equity-linked products with a probabilistic constraint ⋮ On the Optimal Investment ⋮ On the construction of optimal payoffs ⋮ Optimal portfolios under worst-case scenarios ⋮ Optimal claims with fixed payoff structure ⋮ Cost-efficiency in multivariate Lévy models
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